TVICA -- time varying independent component analysis and its application to financial data
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Publication:1623451
DOI10.1016/j.csda.2014.01.002zbMath1506.62039MaRDI QIDQ1623451
Ray-Bing Chen, Ying Chen, Wolfgang Karl Härdle
Publication date: 23 November 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2014.01.002
62-08: Computational methods for problems pertaining to statistics
62H25: Factor analysis and principal components; correspondence analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
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Uses Software
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